Research on Derivatives Pricing and Risk Management after Financial Crisis
| Project/Area Number |
25380389
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Money/ Finance
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| Research Institution | The University of Tokyo |
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Principal Investigator |
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| Project Period (FY) |
2013-04-01 – 2016-03-31
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| Project Status |
Completed (Fiscal Year 2015)
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| Budget Amount *help |
¥3,900,000 (Direct Cost: ¥3,000,000、Indirect Cost: ¥900,000)
Fiscal Year 2015: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2014: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2013: ¥1,950,000 (Direct Cost: ¥1,500,000、Indirect Cost: ¥450,000)
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| Keywords | 漸近展開 / 確率微分方程式(SDE,FSDE) / 後ろ向き確率微分方程式(BSDE) / 確率ボラティリティモデル / ジャンプモデル / コラテラル / カウンターパーティリスク / マーケットインパクト / カウンターパーティーリスク / static super-replication / 後ろ向き確率微分方程式 / 為替介入 / 信用リスク調整(CVA) / デリバティブの優劣複製 |
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| Outline of Final Research Achievements |
Based on the experience of a series of financial crises, there exists criticism for financial institutions in that they do not evaluate derivatives appropriately, and do not recognize potential risks in the risk management. Then, the trade practice in the markets has been much changing with elaboration of the derivatives valuation, increase in collateralized trades and introduction of the credit risk adjustment for the trading counter parties.
In order to cope with the change, I performed the studies on the derivatives and asset management with relevant mathematics to develop new models and techniques with the numerical experiments and the mathematical justification.
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Report
(4 results)
Research Products
(28 results)
